We study which characteristics provide incremental predictive information for the cross-section of expected returns in the Chinese stock market. Our results provide empirical evidence for strong nonlinear relations between expected returns and selected characteristics, especially in the Trading...

In this paper, we find that the upside asymmetry calculated based on a new distribution-based asymmetry measure proposed by Jiang, Wu, Zhou, and Zhu (2020) is negatively related to average future returns in the crosssection of Chinese stock returns. By contrast, when using a conventional...

We study which characteristics provide incremental predictive information for the cross-section of expected returns in the Chinese stock market. Our results provide empirical evidence for strong nonlinear relations between expected returns and selected characteristics, especially in the trading...

In this paper, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that greater upside asymmetries calculated using our...